Arun Chockalingam

Eindhoven University of Technology (TUE) - Department of Industrial Engineering and Innovation Sciences

Assistant Professor

Den Dolech 2

Eindhoven

Eindhoven, 5600 MB

Netherlands

http://home.tm.tue.nl/achockal/

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 35,175

SSRN RANKINGS

Top 35,175

in Total Papers Downloads

934

CITATIONS

1

Scholarly Papers (4)

1.

American Options Under Stochastic Volatility

McCombs Research Paper Series No. IROM-10-08
Number of pages: 30 Posted: 07 Dec 2007 Last Revised: 03 Oct 2012
Arun Chockalingam and Kumar Muthuraman
Eindhoven University of Technology (TUE) - Department of Industrial Engineering and Innovation Sciences and University of Texas at Austin - McCombs School of Business
Downloads 615 (30,239)
Citation 1

Abstract:

American option, stochastic volatility, free boundary

2.

An Approximate Moving Boundary Method for American Options

McCombs Research Paper Series No. IROM-02-10
Number of pages: 16 Posted: 24 Jan 2010 Last Revised: 27 May 2010
Arun Chockalingam and Kumar Muthuraman
Eindhoven University of Technology (TUE) - Department of Industrial Engineering and Innovation Sciences and University of Texas at Austin - McCombs School of Business
Downloads 157 (140,263)

Abstract:

American option pricing, free boundary, Moving Boundary method, approximate boundaries

3.

The Implication of Missing the Optimal-Exercise Time of an American Option

Number of pages: 24 Posted: 20 Aug 2013
Arun Chockalingam and Haolin Feng
Eindhoven University of Technology (TUE) - Department of Industrial Engineering and Innovation Sciences and Lingnan (University) College, Sun Yat-sen University
Downloads 19 (425,530)

Abstract:

Finance, American options, Delaying exercise, Exercise policy, Suboptimal exercise policy, Free boundary problem

4.

Transporting Commodities: Hedging Against Price, Demand and Freight Rate Risk with Options

Number of pages: 29 Posted: 18 Sep 2015
Taimaz Soltani, Arun Chockalingam, Jan C. Fransoo and Chung-Yee Lee
Eindhoven University of Technology (TUE) - Department of Industrial Engineering and Innovation Sciences, Eindhoven University of Technology (TUE) - Department of Industrial Engineering and Innovation Sciences, Eindhoven University of Technology and Hong Kong University of Science & Technology (HKUST) - Department of Industrial and Engineering and Logistics Management
Downloads 11 (221,015)

Abstract:

Freight options, Ocean freight, Commodity procurement, Value creation, OM-Finance Interface, Newsvendor model